Σύγκριση μεθόδων

	ARFIMA Model	Διανυσματική Αυτοπαλινδρόμηση Πάνελ (Panel VAR)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1980	1988
Δημιουργός	Granger & Joyeux (1980); Hosking (1981)	Holtz-Eakin, Newey & Rosen
Τύπος	Long-memory time series model	Panel vector autoregression
Θεμελιώδης πηγή	Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15–29.	Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395.
Εναλλακτικές ονομασίες	fractionally integrated ARMA, long-memory time series model, ARFIMA / FIGARCH, fractional differencing model	PVAR, panel vector autoregression, Panel VAR (PVAR)
Συναφείς	5	3
Σύνοψη	ARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Granger and Joyeux (1980) and formalised by Hosking (1981) to describe series whose autocorrelations decay slowly rather than abruptly.	Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level.